Athene Holding Ltd. · NYSE:ATH/PA
Athene — Investor Presentation (February 2023)
25 slides from Athene's investor presentation, Feb 22, 2023
Slide 1: Athene Asset Portfolio Risk & Stress Considerations Update
Athene Asset Portfolio Risk & Stress Considerations Update February 2023
Slide 2: Disclaimer & Presentation Note
Disclaimer & Presentation Note This presentation does not constitute an offer to sell, or the solicitation of an offer to buy, any security of Athene Holding Ltd. (“Athene”). This presentation contains, and certain oral statements made by Athene’s representatives from time to time may contain, forwa
Slide 3: The Industry Has Focused on Capital Return, Leaving Many Companies With Less Capital Flexibility
5% 9% 14% 22% 30% 37% 45% 52% 57% 66% 72% 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 3 The Industry Has Focused on Capital Return, Leaving Many Companies With Less Capital Flexibility Source: Capital IQ as of January 12, 2023. Includes US insurers AEL, AIG, LNC, MET, PFG, PRU, and VOYA,
Slide 4: Athene Has Spent Years Diligently Raising Capital to Improve Its Financial Strength
4 ACQUIRES AVIVA USA 20152014 20212017 202220182013 RATED ‘A-’ RATED ‘A-’ UPGRADED TO ‘A’ UPGRADED TO ‘A’ UPGRADED TO ‘A+’ UPGRADED TO ‘A+’ RATED ‘A1’ MERGER COMPLETED 2009 COMPANY FOUNDED 2019 UPGRADED TO ‘A’ Athene Has Spent Years Diligently Raising Capital to Improve Its Financial Strength Note:
Slide 5: Note: Athene metrics are net of non-controlling interest in ACRA, as of December 31,
5 Note: Athene metrics are net of non-controlling interest in ACRA, as of December 31, 2022. 1. Relates to Athene’s primary insurance subsidiaries; represents ratings from AM Best "A", Fitch "A+", S&P "A+“ and Moody’s “A1”. 2. Represents the aggregate capital of Athene's US and Bermuda insurance ent
Slide 6: Higher Statutory Capital, Lower Adjusted Debt-to-Capital, Lower Credit Losses
6 ~$20B OF STAT CAPITAL 7 bps 12 bps Athene Industry Average Trailing 5 Year Avg. 2017-2021 1. Athene metrics are net of non-controlling interest in ACRA, as of December 31, 2022. AA-/A+ Rated Companies metrics as of September 30, 2022 or latest available per SNL Financial. AA-/A+ Rated Companies ar
Slide 7: Athene Was Upgraded in 2022 Post-Merger, Amid Market Volatility
7 Note: Ratings represent financial strength ratings for primary insurance subsidiaries. …And was Upgraded in 2022 Post-Merger, Amid Market Volatility “The A1 rating of Athene’s US and Bermuda-based life insurance companies reflects the company's strong market position in its core insurance products
Slide 8: Athene Prioritizes Capital Flexibility Over Near-Term Profit Maximization
8 1. Computed as the capital in excess of the capital required to support our core operating strategies, as determined based upon internal modeling and analysis of economic risk, as well as inputs from rating agency capital models and consideration of both NAIC RBC and Bermuda capital requirements.
Slide 9: Athene Strategically Plays Offense in Times of Dislocation
1% 2% 3% 4% 5% 6% 7% 25 45 65 85 105 125 145 165 Jan 2019 Jul 2019 Jan 2020 Jul 2020 Jan 2021 Jul 2021 Jan 2022 Jul 2022 2022 Organic Inflows $48 Billion 9 Corporate BBB Yield MOVE Index ICE BofAML MOVE Index Corporate BBB Yields COVID-19 Driven Market Volatility ~$29 Billion Inorganic Transaction (
Slide 10: Case Study: Opportunistic CLO Purchases During Recent U.K. Market Volatility
Jan. Feb. Mar. Apr. May. Jun. Jul. Aug. Sep. Oct. Nov. Dec. When European AA CLO market trading volume spiked ~800%, Apollo was able to step in and represent 25%+ of secondary market liquidity 10 2022 Industrywide European AA CLO Secondary Market Activity by Month AAA & AA 83% A 7% BBB 10% Weighted
Slide 11: Athene's Investment Portfolio Allocation Versus Peers
11 • ~96% of Athene’s fixed income portfolio is invested in investment grade assets1 • Target asset classes which bring illiquidity or structuring complexity premium, not incremental credit risk • Focus on directly originated, senior secured loans where control of origination results in better risk-
Slide 12: Athene Targets Incremental Yield Through Illiquidity and Complexity Premia
More Duration Riskier Assets Illiquidity & Structure • Buy assets with longer tenor than liabilities to take advantage of upward sloping yield curve • Buy assets farther out on the risk/reward spectrum (e.g. public equities) • Buy lower quality credit in pursuit of higher spreads • Capture illiquidi
Slide 13: Investment Grade Structured Credit is Safer Credit Risk Than Equivalently Rated Corporate Debt
Today, Investment Grade Structured Credit is Safer Credit Risk Than Equivalently Rated Corporate Debt Athene continues to be a leader in transparency around its investment philosophy in structured credit, and published a Structured Credit Whitepaper in December 2022 Highlights key features of invest
Slide 14: Risk Management is Embedded in Everything We Do
14 Risk Management is Embedded in Everything We Do Manage Risk Such That Athene Can Grow Profitably Across Market Environments Robust risk management framework and procedures underpin focus on protecting capital and aligning risks with stakeholder expectations Risk strategy, investment, credit, asse
Slide 15: Disciplined Risk Appetite and Experienced Risk Team
15 Disciplined risk appetite Experienced risk team Enterprise risk appetite is established using stress testing and is cascaded to the business through risk limits Maintaining excess capital and liquidity allows Athene to be positioned to take advantage of opportunities in times of market dislocatio
Slide 16: Robust, Multi-Layered Governance for Investment Risk
16 APOLLO’S PORTFOLIO MANAGERS AND INVESTMENT COMMITTEES APOLLO INSURANCE SOLUTIONS GROUP APOLLO’S COMPLIANCE AND ALLOCATION COMMITTEES ATHENE RISK ATHENE MANAGEMENT INVESTMENT & ASSET / LIABILITY COMMITTEE ATHENE BOARD RISK & CONFLICT COMMITTEES RATING AGENCIES, REGULATORS, AND CLIENTS Ensures inve
Slide 17: Athene's Stress Testing Framework
17 Athene’s stress framework utilizes internally defined, integrated scenario stresses (shocks to credit, equity, rates) based on economic scenarios Defined scenarios based on severe economic stresses observed over multi- year periods CORPORATES Utilize Moody’s historical recession era bond default
Slide 18: Stress Scenario Assumptions and Historical Recession Data
18 ATHENE ASSUMPTIONS SAMPLE HISTORICAL RECESSION DATA Baseline Recession Scenario Deep Recession Scenario Stagflation Scenario 1990 2001 2008 Euro 2016 COVID 20201 10 Yr US Treasury Yield Down 60% (e.g. ~232bps) Down 83% (e.g. ~322bps) Up 61%2 (e.g. ~238bps) Up 4% Down 21% Down 43% Down 84%3 Down 6
Slide 19: Stress Test Results by Asset Class
19 4Q’22 Portfolio Allocation BASELINE RECESSION SCENARIO DEEP RECESSION SCENARIO STAGFLATION SCENARIO Losses Impact ($B) Losses % of Net Invested Assets Losses Impact ($B) Losses % of Net Invested Assets Losses Impact ($B) Losses % of Net Invested Assets Corporate & Gov’t OTTI 44% ($0.3) (0.4%) ($0
Slide 20: Available Actions Allow for ~$10B of Liquidity and ~$5B of Capital Relief
Available Actions Allow for ~$10B of Liquidity and ~$5B of Capital Relief in Market Dislocations 20 ACTION ILLUSTRATIVE BENEFIT ($B) ACTIONABILITY CAPITAL MARKETS Utilize Federal Home Loan Bank (‘FHLB’) Facility ~$1.0 Draw Committed Repo ~$2.0 Draw Committed Liquidity Facility ~$3.01 Draw Revolver ~
Slide 21: Summary: Outperformance, Risk Management and Manageable Stress Results
1. Pro forma excess equity capital of $0.3 billion after factoring in the benefit of ongoing earnings and illustrative management action. 2. Athene’s $23.8 billion of CMLs were assumed to have the same distribution as Athene’s broader fixed income portfolio by NRSRO ratings within each NAIC rating.
Slide 22: Non-GAAP Measures & Definitions
Non-GAAP Measures & Definitions Key Operating and Non-GAAP Measures In addition to our results presented in accordance with GAAP, we present certain financial information that includes non-GAAP measures. Management believes the use of these non-GAAP measures, together with the relevant GAAP measures
Slide 23: Non-GAAP Measure Reconciliations: Shareholders' Equity
Non-GAAP Measure Reconciliations 23 Total AHL shareholders’ equity $ 916 Less: Preferred stock 3,154 Total AHL common shareholder's deficit (2,238) Less: Accumulated other comprehensive loss (12,311) Less: Accumulated change in fair value of reinsurance assets (3,046) Less: Accumulated change in fai
Slide 24: Non-GAAP Measure Reconciliations: Debt to Capital Ratio
Non-GAAP Measure Reconciliations 24 Total debt $ 3,658 Less: Adjustment to arrive at notional debt 258 Notional debt $ 3,400 Total debt $ 3,658 Total AHL shareholders’ equity 916 Total Capitalization 4,574 Less: Accumulated other comprehensive loss (12,311) Less: Accumulated change in fair value of
Slide 25: Non-GAAP Measure Reconciliations: Net Invested Assets
Non-GAAP Measure Reconciliations 25 Total investments, including related parties Derivative assets Cash and cash equivalents (including restricted cash) Accrued investment income Net receivable (payable) for collateral on derivatives Reinsurance funds withheld and modified coinsurance VIE and VOE as
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